public double[,] Analytic(Parameters parameters, Types.OptionType optionType)
{
var pVArray = default(double[, ]);
switch (optionType)
{
case Types.OptionType.Vanilla:
pVArray =
OptionVanilla.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.IsCall);
break;
case Types.OptionType.Barrier:
pVArray =
OptionBarrier.MakeAnalyticPVArray(
new double[parameters.TNum, parameters.XNum[0]],
parameters.BoundaryPrice,
parameters.Strike,
parameters.Maturity,
parameters.DomesticRate,
parameters.ForeignRate,
parameters.Volatility,
parameters.Barrier,
parameters.IsCall);
break;
}
return(pVArray);
}
